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Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method

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A Three-factor defaultable term structure model

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Asset allocation with credit instruments

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The crash-NIG copula model : risk measurement and management of credit portfolios

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Pricing of derivatives on commodity indices

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Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory

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Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Glau, Kathrin (ed.); Grbac, Zorana (ed.); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

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